Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0793
Annualized Std Dev 0.2427
Annualized Sharpe (Rf=0%) 0.3269

Row

Daily Return Statistics

Close
Observations 5189.0000
NAs 1.0000
Minimum -0.1312
Quartile 1 -0.0067
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0079
Maximum 0.0949
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0153
Skewness -0.3501
Kurtosis 7.8730

Downside Risk

Close
Semi Deviation 0.0110
Gain Deviation 0.0107
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.6291
Historical VaR (95%) -0.0222
Historical ES (95%) -0.0356
Modified VaR (95%) -0.0238
Modified ES (95%) -0.0447
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-05-07 -0.6291 1492 444 1048
2018-08-23 2020-03-23 2021-01-06 -0.4764 597 397 200
2002-05-03 2002-10-09 2003-10-13 -0.3469 365 111 254
2015-06-24 2016-02-11 2016-09-07 -0.2378 305 161 144
2001-07-02 2001-09-21 2001-12-26 -0.1942 120 54 66

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA 1 0.2 2.2 -0.3 0.5 -1.9 1.7
2001 0.8 -0.2 1.9 0.5 0.6 1.3 0.9 0.4 -1.7 1.4 -0.7 -1.3 3.8
2002 0 2.1 0.3 0.5 0.1 -1.8 -0.7 -0.3 2.6 2.6 -1.3 -0.4 3.7
2003 1.2 0.2 1.2 -0.1 2 1.2 -1.6 0.2 3 -0.7 1.3 -1.7 6.3
2004 -0.3 1.3 0.9 -1.2 0.8 -1.2 -0.1 0.4 2.1 0.6 0.8 -0.2 3.9
2005 0.6 1 -0.5 1 1.3 0.7 0.1 0 0.2 0.7 1.8 -0.7 6.3
2006 0.9 1.7 0.2 -0.8 2 0.8 -1.3 0.1 -1.1 -1.9 -0.3 -1 -0.8
2007 1 -0.4 0.4 0.6 1.3 -0.8 1.1 0.9 2.3 -4.2 0.1 -1 1.2
2008 2.2 -2.2 4.1 1.8 -0.1 0.4 0.8 -0.9 -2.3 4.5 -12.6 3.2 -2.4
2009 -2.5 -0.8 1.4 0.1 4.1 2 -0.4 -2.8 -3.2 -3 1.9 -1.6 -5.1
2010 1.1 2.2 1 -3.2 -3.5 -0.7 0 3.7 0.4 -0.7 2.1 -0.7 1.6
2011 2.2 -1.9 0.5 0.3 -3 1.5 -0.5 -2.4 -3.1 -3.6 -0.9 -0.7 -11.2
2012 2 0.4 -0.4 0 -2.7 2.7 -1.7 0.6 0.4 1.3 0 2.1 4.8
2013 0.9 0.4 -1.1 -2.5 -1.2 1.1 1.1 -1.6 1 -0.3 -0.1 0.3 -1.8
2014 -0.9 0.1 1.1 -0.3 -0.3 1 -0.4 0.5 -1.1 1.3 -1.4 -0.8 -1.1
2015 -2.2 -0.4 0.2 0.3 0.3 0.3 0.1 -2.8 -0.2 -0.8 0.6 -1.3 -5.7
2016 -0.6 2 0.1 -0.6 0.6 0.4 -0.3 -0.3 1.1 -1.2 0.1 -0.4 0.9
2017 0 2 0.2 0.5 1.9 -0.4 0.2 0.6 0 -0.4 -0.3 -0.8 3.6
2018 0.2 0 0.7 0.3 0.6 -0.2 -0.1 0.2 -1.2 1.5 0.4 0.5 2.8
2019 0.1 0.5 1.3 -0.8 -1.3 0.4 -2.1 -0.2 -1.8 1.6 -0.7 0.1 -2.6
2020 -2.1 -1.5 -6.7 -4.1 0.7 -1.9 -1.1 1 1.6 -0.8 1.5 0 -12.7
2021 2.3 3.5 0.3 NA NA NA NA NA NA NA NA NA 6.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-07-28  34.1 SPY    142. -0.0226  -0.0379  -0.0238  -0.0207   0.0704       NA       NA <NA>     NA    NA       NA
2 2000-07-31  34.4 SPY    143.  0.0057  -0.0268  -0.0089  -0.0283   0.074        NA       NA <NA>     NA    NA       NA
3 2000-08-01  34.7 SPY    144.  0.0068  -0.0233  -0.0097  -0.0017   0.0864       NA       NA <NA>     NA    NA       NA
4 2000-08-02  34.9 SPY    145.  0.005   -0.0088  -0.0182   0.021    0.107        NA       NA <NA>     NA    NA       NA
5 2000-08-03  35.0 SPY    146.  0.0069   0.0015   0.0067   0.0267   0.105        NA       NA <NA>     NA    NA       NA
6 2000-08-04  35.1 SPY    146.  0.0054   0.0301   0.0043   0.0198   0.123        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart